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Intervention options in life insurance

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  • Steffensen, Mogens
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 31 (2002)
    Issue (Month): 1 (August)
    Pages: 71-85

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    Handle: RePEc:eee:insuma:v:31:y:2002:i:1:p:71-85

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    Web page: http://www.elsevier.com/locate/inca/505554

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 26(1), pages 37-57, February.
    2. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 195-213, June.
    3. Eric Briys & Fran�ois De Varenne, 1994. "Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications," The Geneva Risk and Insurance Review, Palgrave Macmillan, Palgrave Macmillan, vol. 19(1), pages 53-72, June.
    4. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, Springer, vol. 4(4), pages 443-463.
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    Cited by:
    1. Buchardt, Kristian, 2014. "Dependent interest and transition rates in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 55(C), pages 167-179.
    2. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 14(4), pages 392-413, July.
    4. Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 37(2), pages 270-296, October.
    5. Kochanski, Michael, 2010. "Solvency capital requirement for German unit-linked insurance products," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, University of Cologne, Department of Risk Management and Insurance, vol. 6(2), pages 33-70.
    6. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 437-442, June.

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